Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming

DOI10.1016/J.DAM.2011.10.010zbMath1335.91087OpenAlexW2079837261MaRDI QIDQ496684

Mustafa Çelebi Pinar

Publication date: 22 September 2015

Published in: Discrete Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.dam.2011.10.010

zbMATH Keywords

martingaleshedgingpricingmixed-integer linear programmingAmerican contingent claims

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• GAMS

Cites Work

• Risk measure pricing and hedging in incomplete markets
• Efficient hedging: cost versus shortfall risk
• Efficient hedging with coherent risk measure
• Duality and martingales: a stochastic programming perspective on contingent claims
• Quantile hedging
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• Pricing American contingent claims by stochastic linear programming
• Coherent hedging in incomplete markets
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Convex Hedging in Incomplete Markets
• Option pricing by mathematical programming†

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